Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach
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Publication:742312
DOI10.1007/s10589-013-9582-3zbMath1302.90157OpenAlexW2004304335WikidataQ57445418 ScholiaQ57445418MaRDI QIDQ742312
Xiaoling Sun, Jie Sun, Li, Duan, Xiao Jin Zheng
Publication date: 18 September 2014
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11937/36727
convex programsportfolio selectioncardinality constraintDC approximationstrengthening cutssuccessive convex approximation
Related Items (15)
Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization ⋮ Constraint qualifications and optimality conditions for optimization problems with cardinality constraints ⋮ On nonsmooth robust multiobjective optimization under generalized convexity with applications to portfolio optimization ⋮ Complex portfolio selection via convex mixed‐integer quadratic programming: a survey ⋮ Structural properties of affine sparsity constraints ⋮ Relaxed method for optimization problems with cardinality constraints ⋮ Hybrid Algorithms for Finding a D-Stationary Point of a Class of Structured Nonsmooth DC Minimization ⋮ DC formulations and algorithms for sparse optimization problems ⋮ Mathematical Programs with Cardinality Constraints: Reformulation by Complementarity-Type Conditions and a Regularization Method ⋮ Alternating direction method of multipliers for truss topology optimization with limited number of nodes: a cardinality-constrained second-order cone programming approach ⋮ Sequential optimality conditions for cardinality-constrained optimization problems with applications ⋮ An augmented Lagrangian proximal alternating method for sparse discrete optimization problems ⋮ A convex relaxation framework consisting of a primal-dual alternative algorithm for solving \(\ell_0\) sparsity-induced optimization problems with application to signal recovery based image restoration ⋮ Penalty and Augmented Lagrangian Methods for Constrained DC Programming ⋮ A penalty PALM method for sparse portfolio selection problems
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